Visual Studio 2005 is the fully integrated development tool for developing applications using .NET Framework 2.0
It comes in different flavours such as Standard, Professional and Enterprise Editions and you can choose the appropriate version for your requirement and get the same. It is licensed and you need to purchase the same.
You can compare the features from http://msdn2.microsoft.com/en-us/vstudio/aa700921.aspx
VWD (Visual Web Developer) is a lite weight free tool for developing only ASP.NET Web Applications using .NET Framework 2.0. It is freely available for download and it has a lot of good features to begin with ASP.NET 2.0
However, if you want an integrated full fledged development tool for developing Web, Windows, and all other kinds of .NET Applications, then Visual Studio 2005 is the best bet you can get. You can find more information on purchasing at http://msdn2.microsoft.com/en-us/vstudio/aa700833.aspx
Hope this clarifies your queries.
Thanks.
regards,
Harish
http://geekswithblogs.net/ranganh